Sessions will include: an overview of IFRS 17 implementation, practical insights into systems management, the application of IFRS 17 to reinsurance, and an exploration of potential emerging issues anâ¦

This two day training course will examine the key elements of an operational risk management framework and provide guidance on how these elements can be built upon to achieve a more comprehensive andâ¦

The Energy Risk Awards recognise excellence across global commodities markets as well as providing a unique opportunity for companies across the industry to gain valuable recognition. Winning an Enerâ¦

This white paper discusses the steps to enabling full compliance with current regulations in Asia-Pacific. It further examines the challenges associated with new regulations and establishing a robustâ¦

Chartis Research provides unrivalled, impartial and deep research and analysis on all aspects of the risk technology space, supporting the world's top decision makers with outstanding risk technology insight and advice.

Absolute return volatility

John Cotter

01 Jun 2006

Tweet

Facebook

LinkedIn

Save this article

Send to

Print this page

Click Here To Download PDF

Volatility modelling is a key issue for the finance industryfrom an academic and practitioner perspective.This is understandable given the importance that volatilityplays in risk management and the development of accurate risk measures

in a univariate or multivariate framework. To illustrate, successfulmarket risk management requires the use of accurate risk measuressuch as minimum capital requirements. These risk measures areunderpinned by the input of volatility